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We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of controlling the risk by means of reinsurance. Our aim is to find a dynamic choice of both the reinsurance policy and the dividend distribution strategy that maximizes the cumulative expected discounted dividend payouts. We study the(More)
We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of investing part of the reserve in a risky asset. We consider that the risky asset is a stock whose price process is a geometric Brownian motion. Our aim is to find a dynamic choice of the investment policy which minimizes the ruin(More)
We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér–Lundberg model with arbitrary claim-size distribution. Our objective is to find the dividend payment policy which maximizes the cumulative expected discounted dividend pay-outs until the time of bankruptcy imposing(More)
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other’s deficit when possible. We solve the stochastic control problem of maximizing the weighted sum of expected discounted dividend payments (among all admissible dividend strategies)(More)
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